Binomial tree for currency put option

Assignment Help Basic Statistics
Reference no: EM13102756

An American put option to sell a swiss franc for dollars has a strike price of $0.80 and a time to maturity of one year. The volatility of the swiss franc is 10%, the dollar interest rate is 6%, the swiss franc interest rate is 3%, and the current exchange rate is 0.81. Use a tree with three time steps to value the option. Estimate the delta of the option from your tree.

Reference no: EM13102756

Questions Cloud

Express the position of the object in one-dimensional motion : An object moving with uniform acceleration has a velocity of 10.0 cm/s in the positive x-direction when its x-coordinate is 3.09 cm. If its x-coordinate 3.05 s later is ?5.00 cm, what is its acceleration?
Binomial probability-testing a claim : According to an internet posting, 80% of adults enjoy drinking beer. Choose a group of 3 adults at random. The probability that none of them enjoy drinking beer is:
Proportionate stratified random sampling : A researcher is conducting proportionate stratified random sampling with a sample size of 250. Approximately how many people should be sampled from each stratum?
Find the magnitude of the deceleration : To stop a car, first you require a certain reaction time to begin braking; then the car slows under the constant braking deceleration. Suppose that the total distance moved by your car during these two phases is 50.6 m when its initial speed is 79..
Binomial tree for currency put option : An American put option to sell a swiss franc for dollars has a strike price of $0.80 and a time to maturity of one year. The volatility of the swiss franc is 10%
Develop the global void function to create two objects : Write a class implementation for the class_my class which comprises the data member ID of type integer and data member MSG of type string.
Normal distribution and binomial experiment : Provide an example of an application of the normal distribution. Explain why standard normal distribution can be used to find the probabilities for all normal distributions?
Following normal distribution with mean-standard deviation : Diastolic blood pressure are assumed to follow a normal distribution with a mean of 85 and a standard deviation of 12.
Binomial distribution and forecast : On any given day, about 45% of the stocks on the American Stock Exchange increase in value. A random sample of four independent stocks is chosen.

Reviews

Write a Review

Basic Statistics Questions & Answers

  Probability for given data under binomial distribution

Use the binomial distribution formula to calculate the probability that a) out of 5 adults, none is concerned that employers are monitoring phone calls.

  Confidence interval-true average difference in cholesterol

When creating a 99% confidence interval for the true average difference in cholesterol levels by the drug, what is the margin of error?

  Probability that calculators will be defective

Determine the probability that none of the calculators will be defective?

  Survey on internet regularly

According to a recent survey, 275 of 400 middle-aged Americans said they used the Internet regularly. 140 of 400 senior citizens said they used the Internet regularly.

  Potential for extreme sampling error

Impact on sampling of increasing sample size is: The potential for extreme sampling error is reduced.

  Determine the empirical probability

Use this information to determine the empirical probability that the next bird to visit the feeding station will be a dove.

  Americans of mexican ancestry-hypothesis test

a) Set up the null and alternative hypotheses, and perform the hypothesis test. b) Does the jury selection system appear to be fair?

  Constructing and understanding anova

Martin Motors has in stock three cars of the same make and model. The president would like to compare the gas consumption of the three cars (labeled car A, car B, and car C) using four different types of gasoline.

  Minimization and maximization lp model

Distinguish between a minimization and maximization LP model. Other than minimizing costs and maximizing profits, give a real-world example of where you would want to minimize something or maximize something.

  Determining mutually exclusive events

Events A and B are mutually exclusive events defined on common sample space. If P (A) 0.5 and P (A or B) = 0.70, determine P (B).

  Regression analysis and anova

Smith Software Inc. is a computer software firm that has grown in size in recent years. To assist in its planning for future growth, you are to determine the trend of the number of accounts based upon the below.

  Complete and report anova table for this design

In the Distance problems, the kids are given a Rate (speed) that a vehicle is going, as well as a Time that the vehicle travels, and asked to calculate the Distance travelled. In the Rate problems they are asked to compute Rate from the other two ..

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd